QQQ Options History — April 2016

In April 2016, QQQ traded between $105.73 and $111.20. ATM implied volatility averaged 15.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.0% (HV 20d: 12.6%). Max pain ranged from $107.00 to $109.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2016-04-29: Highest Volume — 969,158 contracts
2016-04-07: Largest IV spike — 14.5% change
2016-04-29: Highest IV Rank — 23.5%
2016-04-29: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.37	$105.73	$111.20	$110.27	$105.73
Max Pain	$108.57	$107.00	$109.50	$107.50	$109.00
ATM IV	15.6%	14.0%	17.8%	14.0%	17.8%
Expected Move	4.5%	3.5%	5.2%	3.5%	5.2%
HV 20d	12.6%	11.0%	13.9%	11.0%	13.0%
HV 60d	19.2%	16.7%	22.1%	22.1%	16.7%
IV Rank	15.1%	8.9%	23.5%	8.9%	23.5%
IV Percentile	40.6%	22.2%	60.3%	22.2%	60.3%
Term Structure	0.1%	-0.3%	0.5%	0.2%	-0.2%
VWIV	16.3%	12.8%	18.6%	12.8%	18.3%
Skew 25d	4.9%	4.3%	5.6%	4.3%	5.6%
Skew 10d	9.5%	8.5%	10.6%	9.0%	10.5%
Call IV 25d	13.4%	12.1%	15.1%	12.1%	15.1%
Put IV 25d	18.3%	16.4%	20.6%	16.4%	20.6%
Bid-Ask Spread %	1.71	1.50	2.28	1.54	1.71
Gamma HHI	0.06	0.04	0.12	0.07	0.12
Net GEX	-125.5M	-782.0M	396.1M	214.3M	-782.0M
Net DEX	154.0M	-2.87B	6.19B	-2.84B	6.19B
Net VEX	-31.1M	-32.5M	-28.4M	-28.4M	-31.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	1.00	2.33	1.25	1.97
Total Volume	459,964.619	286,170	969,158	492,748	969,158
Total OI	3,215,875.762	2,755,170	3,693,304	3,049,164	3,436,683

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-04-01	$110.27	$107.50	14.0%	3.5%	11.0%	8.9%	12.8%	4.3%	0.2%	214.3M	-2.84B	-28.4M	1.25	1.54	N/A	N/A	219,165	273,583	1,020,906	2,028,258
2016-04-04	$109.82	$107.00	14.9%	4.4%	11.2%	12.5%	15.9%	4.7%	0.3%	83.9M	-1.69B	-29.0M	1.17	1.86	N/A	N/A	132,012	154,158	992,472	1,918,242
2016-04-05	$108.84	$108.00	16.3%	4.8%	11.3%	17.7%	16.8%	5.1%	0.2%	-115.2M	-287.4M	-30.5M	1.48	1.56	N/A	N/A	134,940	199,625	1,042,890	1,975,229
2016-04-06	$110.65	$108.00	14.9%	4.3%	11.8%	12.5%	16.5%	4.5%	0.3%	226.6M	-2.71B	-29.3M	1.23	1.70	N/A	N/A	181,323	222,138	1,080,819	2,026,306
2016-04-07	$108.99	$108.00	17.1%	4.9%	13.4%	20.8%	18.6%	5.3%	-0.1%	-174.6M	-163.3M	-31.5M	1.39	1.50	N/A	N/A	248,875	347,083	1,127,300	2,112,870
2016-04-08	$108.92	$108.00	16.8%	4.9%	13.3%	19.9%	17.2%	5.3%	0.1%	-297.6M	-41.3M	-32.5M	1.28	1.61	N/A	N/A	243,756	311,946	1,202,228	2,219,218
2016-04-11	$108.76	$108.00	17.1%	4.9%	12.0%	20.8%	18.2%	5.6%	0.1%	-198.3M	89.6M	-31.8M	2.33	1.88	N/A	N/A	138,084	322,316	1,140,921	2,177,904
2016-04-12	$109.49	$109.00	16.5%	4.9%	12.1%	18.6%	17.4%	5.6%	0.5%	-3.5M	-756.3M	-31.6M	1.82	1.71	N/A	N/A	119,189	216,449	1,180,953	2,247,501
2016-04-13	$110.89	$108.00	15.0%	4.3%	12.7%	13.0%	16.1%	5.0%	0.1%	396.1M	-2.87B	-30.9M	1.41	1.55	N/A	N/A	200,697	282,795	1,195,379	2,284,974
2016-04-14	$110.91	$109.00	15.0%	4.3%	12.5%	12.9%	17.3%	5.0%	0.1%	341.9M	-2.60B	-31.0M	1.01	1.51	N/A	N/A	219,713	222,651	1,216,804	2,376,682
2016-04-15	$110.69	$109.00	14.8%	4.2%	12.6%	11.9%	15.9%	4.8%	-0.3%	-62.5M	-2.02B	-31.0M	1.39	1.67	N/A	N/A	153,902	214,444	1,250,350	2,442,954
2016-04-18	$111.20	$109.00	14.3%	4.1%	12.6%	10.3%	14.3%	4.6%	0.1%	8.3M	-1.19B	-29.7M	1.36	1.93	N/A	N/A	123,780	168,132	939,488	1,815,682
2016-04-19	$110.38	$109.00	14.8%	4.2%	13.0%	12.0%	14.7%	4.6%	-0.1%	-83.1M	-301.8M	-30.7M	1.54	2.28	N/A	N/A	177,757	273,081	990,801	1,866,913
2016-04-20	$110.68	$109.00	14.7%	4.2%	13.0%	11.6%	15.0%	4.3%	0.2%	-48.3M	-589.2M	-31.5M	1.21	1.71	N/A	N/A	158,870	191,637	1,066,773	1,965,654
2016-04-21	$110.58	$109.00	14.8%	4.2%	12.6%	12.0%	15.3%	4.3%	0.1%	-64.8M	-415.1M	-32.3M	1.00	1.69	N/A	N/A	199,126	198,981	1,119,814	2,014,129
2016-04-22	$109.00	$109.50	15.0%	4.3%	13.8%	12.7%	15.8%	4.4%	0.1%	-171.7M	1.90B	-32.3M	1.57	1.69	N/A	N/A	283,980	445,118	1,185,721	2,061,086
2016-04-25	$108.80	$109.00	15.4%	4.4%	13.9%	14.5%	16.1%	5.0%	0.1%	-283.1M	1.93B	-32.2M	1.82	1.92	N/A	N/A	111,945	203,269	1,095,293	2,005,060
2016-04-26	$108.39	$109.00	15.6%	4.5%	12.8%	15.1%	15.8%	4.8%	-0.0%	-392.4M	2.57B	-32.1M	1.00	1.58	N/A	N/A	170,624	171,320	1,114,996	2,064,500
2016-04-27	$107.54	$109.00	15.7%	4.5%	12.9%	15.4%	15.9%	4.7%	-0.1%	-562.5M	3.69B	-31.3M	1.37	1.63	N/A	N/A	225,517	309,142	1,139,917	2,081,485
2016-04-28	$106.17	$109.00	17.1%	5.0%	13.6%	20.8%	17.5%	5.1%	-0.1%	-667.1M	5.33B	-31.1M	1.54	1.71	N/A	N/A	204,001	314,975	1,193,096	2,115,140
2016-04-29	$105.73	$109.00	17.8%	5.2%	13.0%	23.5%	18.3%	5.6%	-0.2%	-782.0M	6.19B	-31.4M	1.97	1.71	N/A	N/A	326,794	642,364	1,237,591	2,199,092